Wow!! Awesome and so easy! Thank you! After playing with this a few times, the 2.8.10 version of Gimp offers quite a few shortcuts, namely when you create the layer masks, it's now combined into a single step. There is no more need to desaturate or desaturate / invert first. Right click the layer, create layer mask, and just select the grayscale copy of layer and either check / uncheck the Invert Mask checkbox. Here's the compiled steps:

Steps to convert Images to HDR using the gimp 2.8.10

Open the middle image. Rename that layer.

Open the dark image, copy the full image and paste it as a new layer on top of the base. You can do that with the Edit \ Paste As \ New Layer option, or create a new layer from the layers toolbar, paste the image, then anchor it down. Rename this layer...

From the layers toolbar, right click on the dark layer and Add Layer Mask. Initialize Layer Mask to: Grayscale copy of layer.

Open the light image, copy / paste it as a new layer above the dark layer. Rename this layer.

Again, from the layers toolbar, right click on the dark layer and Add Layer Mask. Initialize Layer Mask to: Grayscale copy of layer. One additional option is needed though, to check the Invert Mask box. This will make the grayscale mask a negative.

voila!!

And, if you want to edit the curves of those grayscale masks, just right click the layer and make sure Edit Layer Mask is checked. Select that layer and have at it... :-)